← All authors Giuseppe Cavaliere University of Bologna (from arXiv:2512.00566, 2025) · ORCID · OpenAlex
87 papers in scope · 77 published · 14 on the econ.EM arXiv · 1,999 citations · h-index 24 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Iliyan Georgiev Luca Fanelli Giovanni Angelini Anders Rahbek H. Peter Boswijk Marco Mazzali Ayush Jha Paolo Neri Marco M. Sorge Yang Zu Niccolò Zaccaria Maria Elena Bontempi Luca M. Neri Wenying Yao Thomas T. Yang Jun Yu Luca De Angelis Otilia Boldea Bertille Antoine Rong Chen Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (18 of 87)
working paper 2026 · arXiv
working paper 2025 · arXiv
working paper 2025 · arXiv
working paper 2025 · arXiv
published 2025 · Journal of Business and Economic Statistics · 5 citations · first circulated 2022
published 2025 · Econometric Theory · first circulated 2024
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”
published 2025 · Econometrica · 1 citations
Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry
published 2024 · Journal of Economic Geography
Tail behavior of ACD models and consequences for likelihood-based estimation
published 2023 · Journal of Econometrics · 4 citations
published 2023 · Journal of Econometrics · 7 citations · first circulated 2022
published 2023 · Journal of the American Statistical Association · 9 citations · first circulated 2022
published 2023 · Econometric Reviews · 4 citations · first circulated 2022
working paper 2023 · arXiv
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
published 2023 · Journal of Business and Economic Statistics · 4 citations
Inference in Heavy-Tailed Nonstationary Multivariate Time Series
published 2022 · Journal of the American Statistical Association · 13 citations
working paper 2022 · arXiv
working paper 2022 · arXiv
published 2022 · Journal of Econometrics · 11 citations · first circulated 2021
working paper 2021 · arXiv
working paper 2021 · arXiv
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models
published 2021 · Journal of Applied Econometrics · 10 citations
working paper 2021 · arXiv · 1 citations
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
published 2020 · Journal of Econometrics · 27 citations · first circulated 2018
Adaptive Inference in Heteroscedastic Fractional Time Series Models
published 2020 · Journal of Business and Economic Statistics · 12 citations
A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS
published 2020 · Econometric Theory · 9 citations · first circulated 2019
published 2020 · Econometrica · 8 citations
published 2019 · Journal of Econometrics · 1 citations
The Fixed Volatility Bootstrap for a Class of Arch( q ) Models
published 2018 · Journal of Time Series Analysis · 11 citations
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
published 2018 · Journal of Business and Economic Statistics · 36 citations
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT
published 2018 · Annals of Financial Economics · 9 citations
Co‐integration Rank Determination in Partial Systems Using Information Criteria
published 2017 · Oxford Bulletin of Economics and Statistics · 3 citations
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
published 2017 · Journal of Econometrics · 21 citations · first circulated 2016
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
published 2016 · Journal of Time Series Analysis · 28 citations
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
published 2016 · Econometric Theory · 24 citations
Sieve-based inference for infinite-variance linear processes
published 2016 · The Annals of Statistics · 14 citations · first circulated 2015
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
published 2016 · Econometric Theory · 24 citations
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
published 2016 · Journal of Empirical Finance · 16 citations
Inference on co-integration parameters in heteroskedastic vector autoregressions
published 2015 · Journal of Econometrics · 38 citations · first circulated 2013
Recent Developments in Bootstrap Methods for Dependent Data
published 2015 · Journal of Time Series Analysis · 4 citations
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
published 2015 · Journal of Econometrics · 30 citations · first circulated 2013
Bootstrap Co‐integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates
published 2015 · Oxford Bulletin of Economics and Statistics · 6 citations · first circulated 2013
A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models
published 2015 · Oxford Bulletin of Economics and Statistics · 14 citations · first circulated 2014
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
published 2015 · Econometrica · 43 citations
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
published 2014 · Econometric Reviews · 27 citations · first circulated 2012
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics
published 2014 · Journal of Time Series Analysis · 5 citations
Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
published 2013 · Econometric Reviews · 32 citations · first circulated 2010
Testing for unit roots in bounded time series
published 2013 · Journal of Econometrics · 97 citations
with Fang Xu
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS
published 2013 · Econometric Theory · 10 citations
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
published 2013 · Econometric Reviews · 7 citations · first circulated 2010
Wild Bootstrap of the Sample Mean in the Infinite Variance Case
published 2012 · Econometric Reviews · 13 citations · first circulated 2011
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
published 2012 · Econometrica · 116 citations
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
published 2010 · Econometric Theory · 86 citations
Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional
published 2010 · Studies of Applied Economics
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
published 2009 · Econometric Theory · 81 citations · first circulated 2007
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
published 2009 · Econometric Theory · 13 citations
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
published 2009 · Econometric Theory · 82 citations
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
published 2009 · Econometric Reviews · 39 citations
A Note on Testing Covariance Stationarity
published 2009 · Econometric Reviews · 3 citations
Co-integration Rank Testing under Conditional Heteroskedasticity
published 2009 · CREATES Research Papers · 26 citations
Testing for a change in persistence in the presence of non-stationary volatility
published 2008 · Journal of Econometrics · 43 citations · first circulated 2006
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS
published 2008 · Econometric Theory · 3 citations
Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility
published 2008 · Journal of Econometrics · 24 citations
International dynamic risk sharing
published 2008 · Journal of Applied Econometrics · 8 citations · first circulated 2006
Tests for cointegration rank and choice of the alternative
published 2007 · Statistical Methods & Applications
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility
published 2007 · Journal of Time Series Analysis · 62 citations
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
published 2007 · Econometric Theory · 149 citations
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
published 2007 · Econometric Theory · 14 citations · first circulated 2006
Testing for a Change in Persistence in the Presence of a Volatility Shift*
published 2006 · Oxford Bulletin of Economics and Statistics · 9 citations
Testing for unit roots in time series models with non-stationary volatility
published 2006 · Journal of Econometrics · 175 citations
Stochastic Volatility: Selected Readings
published 2006 · The Economic Journal · 119 citations
Testing the Null of Co‐integration in the Presence of Variance Breaks
published 2006 · Journal of Time Series Analysis · 9 citations · first circulated 2005
Testing mean reversion in target-zone exchange rates
published 2005 · Applied Economics · 4 citations
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
published 2005 · Econometric Theory · 42 citations
LIMITED TIME SERIES WITH A UNIT ROOT
published 2005 · Econometric Theory · 4 citations
Unit Root Tests under Time-Varying Variances
published 2005 · Econometric Reviews · 155 citations · first circulated 2003
Regional consumption dynamics and risk sharing in Italy
published 2004 · International Review of Economics & Finance · 12 citations
03.3.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint—Solution
published 2004 · Econometric Theory · 2 citations · first circulated 2003
Testing stationarity under a permanent variance shift
published 2004 · Economics Letters · 23 citations
Fundamentals and asset price dynamics
published 2003 · Statistical Methods & Applications · 2 citations
with Attilio Gardini, Michele Costa
Asymptotics for unit root tests under Markov regime‐switching
published 2003 · Econometrics Journal · 5 citations
Bounded integrated processes and unit root tests
published 2002 · Statistical Methods & Applications · 3 citations
Testing the unit root hypothesis using generalized range statistics
published 2001 · Econometrics Journal · 18 citations
Determining the number of cointegrating relations under rank constraints
published 2001 · Economics and Quantitative Methods · 2 citations
no link
Advertising effect on primary demand: a cointegration approach
published 2001 · International Journal of Advertising · 13 citations
with Giorgio Tassinari
Firm size and the Italian Stock Exchange
published 1999 · Applied Economics Letters · 12 citations
with Michele Costa
A new approach to stock price modelling and the efficiency of the Italian stock exchange
published 1999 · Statistical Methods & Applications · 3 citations
with Attilio Gardini, Michele Costa
Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system
published 1996 · Statistical Methods & Applications
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